I always start with "drivability"... think Bud Light here. My suggestions in different stages.
Suspension/Drivetrain: putting power to the ground and turns
1. short shifter kit + knob
2. aluminum pedals
4. wider wheels and tires
5. sway bars (rear is an expensive install)
6. strut bar (might as well get with #4)
7. limited slip differential (baller status)
Performance: more boost at lower temps
2. cold air intake or drop-in w/scoops
3. tune: jb3, procede, giac
4. down pipes: catless for more power / catted to pass smog
5. turbo back exhaust: go for sound
Cosmetics: last on my list as I like to be a "sleeper"
1. front m-tech bumper
2. m3 side skirts
3. rear m-tech bumper OR stock bumper w/ hamman CF diffuser
Essential cosmetics: for those who stay stock
1. painted reflectors
2. replace chrome kidney grills: black, painted, CF, etc.
3. driver side keyhole delete
4. custom license plate frame: your favorite shop, e90post, painted, CF, etc.
5. emblems: black, CF, etc. for front, rear, steering wheel + center caps